But Wenger says Gooners would not accept him making such a bargain-basement deal in the current winter window.

The Frenchman is under pressure to buy big and says the days when he could unearth hidden gems are gone.

Wenger built his reputation at Arsenal on uncovering Nicolas Anelka, Kolo Toure and Emmanuel Adebayor and turning them from bit-part players into stars.

However, his recent track record when trying to buy players on the cheap has often been a disaster, as the likes of Marouane Chamakh and Sebastien Squillaci and Gervinho, who has been hugely disappointing for £11m, have failed to blossom.

“It’s very difficult. Because the level of expectation is very high,” said Wenger. “Because people want to come here and they want to see Lionel Messi.

“They don’t want to see a promising guy.

"First of all, the name gives hope. When a guy has no name, people are already sceptical. So it’s much more difficult for us.

“We had heard of him (Michu). He was a guy who disappeared a little bit. He was in clubs where he was bombed out and so you always think, ‘OK, he doesn’t make it there why should he make it here?

“But he has done extremely well. He looks as well it is not accidental what he is doing. He is a really good player.

“You needed to know really deeply the market in Spain to do that.

"Swansea manager) Michael Laudrup did that because he worked there in Spain and he has connections there. We have quite good connections in Spain as well, but Michu is one who never came to my attention.”

Wenger is looking to strengthen this month and admits that his scouts are under pressure to deliver quality players who can help maintain Arsenal’s push for the top four.

Chief scout Steve Rowley is one of the most respected talent-spotters in the game, former player Gilles Grimandi is Arsenal’s man in France while transfer fixer Dick Law is the man charged with getting contracts and deals sorted.

Rowley has spent much of the season in Germany, with Wenger admits they are looking beyond his homeland.

But Wenger says the market has changed dramatically since he first arrived in English football in 1996 and brought over the likes of Patrick Vieira and Emmanuel Petit.

Wenger said: “The competition is higher on the scouting front. That is for sure.

"The country where we were really, really competitive was France. They produce less players than they did 10, 15 years ago - at top, top, top level - in France.

“The emerging countries now to produce players look to be Germany and Spain, and they have many good young players. They have taken over.

“When you look at the results of France against Germany at Under-17s, Under-16s, in the last few years - 4-0, 4-1 [to Germany]. That shows the trend in the coming years will be more in favour of the Germans.

"We have looked at him (Holtby), yes - we have played against him.

“We keep our scouts on alert and the quality of the scouting is linked with that. We have some other clubs who are doing very well and sometimes when you are at a big club your scouts are a bit more cautious because they think, ‘Oh, it is Arsenal, it has to be a top-four player.’

“So naturally they are less looking at players who play at smaller clubs. That is what Swansea can afford to do.

"You are always scared that he is a player who does not do well - the scouts are looked at as responsible.”

Wenger confirmed he was interested in Demba Ba, and did make checks on the Chelsea-bound Newcastle striker, but was put off because he already has a player of his type in Olivier Giroud.

That means that if Arsenal do sign a forward in the winter window, it will be a different type of player - Atletico Madrid’s Adrian Lopez could fit the bill.

On the Dench! Click here to watch Lethal Bizzle launch a 'battle of the bands' competition to find the official FA Cup anthem.